In this master page Page_Load event i will check whether the cookies values,
if false will redirect to the error page.
So another words, my child pages also will fire this MasterPage Page_Load event right.
But now my problem is occured, some of the child pages did fire this event, but some does not and result in "Object Reference Null"
And ideas?

I couldnt say for sure without working with your code. I just wanted to mention to you that I had a similar problem where I had code in the Page_Load method in the Master and "child" pages and encountered an issue where I needed to ensure that one page_load block had to exectute before code in the other page_load block. My solution was to place the code that needed to run after in LoadComplete.

This may not be related to your situation, but I thought I'd metion it to you because your description seemed to be similar to the issue I encountered.